What heuristic to use when doing A* search with multiple targets?
If by "visit multiple targets", you mean "visit several points in the fastest order", you are no longer in a simple path-finding-style search problem, but instead in an optimization problem. This is roughly the difference between chapters 3 &amp; 6 of Russell &amp; Norvig's section on search.

To do this, you can't just change your heuristic, instead you need to reframe your problem:


Instead of states in your search being locations, they should be tours. Each state is a list of all the places you need to visit, in a specific order.
Instead of actions being movements from one location to another, they need to be transformations from one tour to another. For example, if you swap the order that you visit two adjacent locations, then you'll get a different tour. This gives you a way to "move" between tours.
A solution means visiting all the locations as fast as possible. If you know how to get between two locations, just store the distances, and then sum all the distances together to get the cost of a tour. If you don't know, you can just run A* from each place to each other place once, and then cache the distances afterwards. 
A heuristic will depend on your domain. A reasonable start might be to assume that you can visit each location from the nearest other location you've already visited. Generally, heurstics based on the idea of minimum spanning trees are effective for this domain. 


The real answer though, is to try a technique that is meant for this kind of problem, like a local search algorithm. Notice that if we know the cost of moving between any two points, we can just adopt a greedy approach: make the move that improves things the most each time. This is often faster than waiting for A* in practice if you just want a good solution, but it doesn't need to be the very best one.